Boxer can only emulate MS-DOS games, and will warn you if you try to launch a Windows program or import a Windows game. To play Windows games on your Mac, you’ll need Boot Camp or a Windows emulator instead.
Before spending money on a game, look it up on Mobygames to check if it was released for MS-DOS.
Boot Camp comes with OS X, and lets you install a copy of Windows into a separate volume on your Mac. You can then choose between Windows and OS X when you start up your Mac.
Crossover is an emulator for running Windows games directly within OS X. It has a similar workflow to Boxer, and allows you to install and play many Windows games without needing a copy of Windows itself.
VMWare Fusion, Parallels Desktop and VirtualBox let you run Windows within a “virtual machine” on OS X. These require a copy of Windows.
Rereleased game collections, and online stores like GOG.com, often package MS-DOS games inside Windows-only installer programs. Even though Boxer will be able to run the game itself, it cannot open the Windows installer to get the game out, and so cannot import the game directly.
Instead, you should: